When Sergei Polunin, 21, walked out of rehearsals with the Royal Ballet on Tuesday and said he would not be coming back, the world of dance was stunned.

The next day, the Ukrainian dancer was rehearsing for three shows this weekend at Sadler's Wells after spending the night at the London Tattoo Company, the tattoo parlour in north London he co-owns.

Tamara Rojo, who partnered Polunin to great acclaim in Marguerite and Armand in October, said on Wednesday the Royal Ballet was "shocked … I really don't understand it. He was a joy to work with – lovely and generous in the studio, and really engaged – not just technically but dramatically. You could see the performance and the character straight away when we worked on Marguerite and Armand. Every gesture from the beginning had a meaning and a real commitment."

In a statement, the Royal Ballet's director Monica Mason said the news was "a huge shock". Two years previously, she had made Polunin the company's youngest ever principal. This season, Mason's last at the Royal Ballet, had seen Polunin take a number of lead roles, including Oberon in The Dream, which he was due to dance next week.

"He's very young and he achieved a lot very quickly and I don't know how that might feel – to be that gifted and have so many expecting so much of you from so early," said Rojo. "I think the management of the Royal Ballet were always willing to adapt to his specificities and how he was feeling."

Polunin is said to have recently split up with his girlfriend Helen Crawford, a first soloist with the Royal Ballet. Though he had been on a contract, the Royal Ballet announced his departure immediately. Later on Tuesday evening, Polunin tweeted: "Just have to go through one night!!! then will make my next moves."

The dancer's technical and expressive brilliance had led dance critics to compare him to Nureyev and Baryshnikov, while the Observer's dance critic Luke Jennings described him in October as "one of the most gifted dancers of his generation."

Lauren Cuthbertson, who recently danced with him in Manon, said: "Sergei is a beast. I was doing these jetés with him and thinking, 'Wow, dancing with a guy normally I feel very restricted. This is how I'd do it if I was partnering myself'." In a hotly anticipated performance, the pair had been due to dance Romeo and Juliet at the Royal Ballet this spring.

Polunin's Twitter feed had given clues to a growing dissatisfaction with the regimented and gruelling world of ballet. On 8 January at 9.40am, he tweeted a picture of himself with his feet up drinking from a can of Kronenbourg, with the words: "As long as you have a beer in your hand by the morning!!!!"

A month earlier, he had tweeted: "Does any body sell heroin??? Need to bring my mood up." Though he added 20 minutes later: "Pizza probably will do for now," it is the kind of joke unlikely to have gone down well with the Royal Ballet.

But rumours that he was showing a lack of commitment behind the scenes were denied by the company, who pointed to the ecstatic reviews he had recently received. Rojo added: "He was doing his work – his performances had been consistently exceptional. I honestly don't understand."

Polunin was born in Kherson, a ship-building port in southern Ukraine, where, he said, "ballet didn't exist". Just before Christmas, he told the Guardian's Judith Mackrell that he had been pushed into ballet by his parents, who were very poor and saw it as an opportunity to attain a better life. He said he would like to retire at 28.

His mother enrolled him in a school which she knew sent pupils to the State Ballet school in Kiev, where he was accepted. He told Mackrell: "I would have liked to behave badly, to play football. I loved sport. But all my family were working for me to succeed. My mother had moved to Kiev to be with me. There was no chance of me failing."

Polunin arrived at the Royal Ballet school aged 13, helped by a couple from Grimsby who had got to know him in Ukraine and were willing to take responsibility for him in Britain.

By the age of 17, Polunin was stealing the show in minor roles with the Royal Ballet and he was made principal two years later.

Polunin's Twitter profile hints that he may have been poached by another company: it reads "Principal dancer of ?" Ballet world rumours suggest that the Mikhailovsky Ballet in St Petersburg, run by the oligarch Vladimir Kekhman, would be able to pay him considerably more than he receives at the Royal Ballet, though it would be a considerable breach of ballet etiquette to recruit someone mid-season.

Though the Royal Ballet removed the performances he'd been scheduled to give from its website the following day, balletomanes are still holding out hope that Polunin's departure is a temporary meltdown rather than marking the end of his dancing career. A spokesman for Sadler's Wells said that Polunin would fulfil his commitments there by performing in the show Men in Motion this weekend.

"I truly believe he's an exceptional artist and I don't believe they come along that often – every three generations, maybe," said Rojo. "I really hope that whatever it is that he has to go through he does, and that he can come back to dance because he will be a terrible loss."